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It's not like she can do anything since it was the showrunners' decision. But yes, her demise didn't do any justice to all the build-up about a potential final confrontation against Daenerys or Arya Stark, that they've been hinting and hyping for years. It was a let down.

Arya Stark could've disguised herself as Jamie then slit her throat by surprise (we really can't expect her to do a sword duel because we've never seen her in any sword fight throughout the entire show). Then… Sir Gregor is fighting The Hound, unable to help the Queen. Qyburn, an easy kill for The Hound. Cersie staggers towards the iron throne, holding her bleeding neck. She slumps on the Iron Throne and bleeds to death. Arya slips away. The wounded Jamie Lannister, the real one, reaches the hall too late. He leans on a pillar on the balcony, watching in horror the dying Cersie. They gaze at each other for the last time. Saying their farewells, apologies, and “I love yous” in a tearful gaze. With a tight shot on Cersie's horrified and defeated face, the camera zooms out and fades to black as the hall crumbles, debris crushing down as Drogon destroys it with dragon fire, finishing Jamie and Cersie for good.

Or, with the Red Keep decimated, Cersie stands on a now open terrace, trembling, as Daenerys and Drogon look on as they hover in the air. Jamie, too weak from his wounds, calls out to her as he slumps on the doorway. She slowly turns around. They gaze at each other with tearful eyes. Daenerys looks on them with anger. Then the mother of dragons say, “dracarys,” then Drogon incinerates her with fantastic fire. Jamie is also caught in the fire and burns. Then Drogon eats Cersie in one bite and flies away. The Red Keep completely crumbles.

Lena Headey opens up about how she really felt about her final scene as Cersei Lannister on Game of Thrones' penultimate episode.

For Lena Headey, who played the mercurial ruler for entirety of the popular HBO series, however, the relatively tame way Cersei left the Seven Kingdoms in episode five initially gave her “mixed” feelings. In an interview with Entertainment Weekly, she revealed that she “wanted her to have some big piece or fight with somebody.”